107 citations · 108 across the 6 of their papers we have counts for
7 papers
Global boundedness of the curl for a p-curl system in convex domains
Hongjin Wu, Baojun Bian
In this paper, we study a semilinear system involving the curl operator in a bounded and convex domain in , which comes from the steady-state approximation for Bean critical-s…
Turnpike Property and Convergence Rate for an Investment and Consumption Model
Baojun Bian, Harry Zheng
We discuss the turnpike property for optimal investment and consumption problems. We find there exists a threshold value that determines the turnpike property for investment policy…
Turnpike Property and Convergence Rate for an Investment Model with General Utility Functions
Baojun Bian, Harry Zheng
In this paper we aim to address two questions faced by a long-term investor with a power-type utility at high levels of wealth: one is whether the turnpike property still holds for…
Smooth Value Function with Applications in Wealth-CVaR Efficient Portfolio and Turnpike Property
Baojun Bian, Harry Zheng
In this paper we continue the study of Bian-Miao-Zheng (2011) and extend the results there to a more general class of utility functions which may be bounded and non-strictly-concav…
Optimal Liquidation in a Finite Time Regime Switching Model with Permanent and Temporary Pricing Impact
Baojun Bian, Nan Wu, Harry Zheng
In this paper we discuss the optimal liquidation over a finite time horizon until the exit time. The drift and diffusion terms of the asset price are general functions depending on…
Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems
Baojun Bian, Sheng Miao, Harry Zheng
In this paper we prove that there exists a smooth classical solution to the HJB equation for a large class of constrained problems with utility functions that are not necessarily d…